On-line Social Networks (OSN) have become one of the most used Internet services. However, as happens with every new technology, they are prone to several security issues. Despite privacy concerns begin to emerge, there are still other dangerous vulnerabilities that affect security and threaten organisations and users assets. In this paper, we present the first Threat Modelling approach in Online Social Networks that intends to identify the threats and vulnerabilities that can be exploited. Next, we define what we call the Circle of Risk (CoR), a graphical definition of every security aspect involved in the threat modelling.